The Aliasing Effect, the Fejer Kernel and Temporally Aggregated Long Memory Processes
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- Francis X. Diebold & Glenn D. Rudebusch, 1988.
"Long memory and persistence in aggregate output,"
Finance and Economics Discussion Series
7, Board of Governors of the Federal Reserve System (U.S.).
- Brewer, K. R. W., 1973. "Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models," Journal of Econometrics, Elsevier, vol. 1(2), pages 133-154, June.
- Chambers, Marcus J, 1998. "Long Memory and Aggregation in Macroeconomic Time Series," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1053-72, November.
- Cheung, Yin-Wong, 1993. "Long Memory in Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 93-101, January.
- Deo, Rohit S. & Hurvich, Clifford M., 2001. "On The Log Periodogram Regression Estimator Of The Memory Parameter In Long Memory Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 17(04), pages 686-710, August.
- Jan Beran & Dirk Ocker, 2000. "Temporal aggregation of stationary and nonstationary FARIMA (p, d, 0) models," CoFE Discussion Paper 00-22, Center of Finance and Econometrics, University of Konstanz.
- Breidt, F. Jay & Crato, Nuno & de Lima, Pedro, 1998. "The detection and estimation of long memory in stochastic volatility," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 325-348.
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